Jhonathan Abreu
756a61b8e0
* Add ShortCallCalendarSpread and ShortCalendarPutSpread strategies helper factory methods * Housekeeping
64 lines
3.4 KiB
Python
64 lines
3.4 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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import itertools
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from OptionStrategyFactoryMethodsBaseAlgorithm import *
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### <summary>
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### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
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### In this case, the algorithm tests the Put Calendar Spread and Short Put Calendar Spread strategies.
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### </summary>
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class LongAndShortPutCalendarSpreadStrategiesAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
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def ExpectedOrdersCount(self) -> int:
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return 4
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def TradeStrategy(self, chain: OptionChain, option_symbol: Symbol):
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putContracts = sorted((contract for contract in chain if contract.Right == OptionRight.Put),
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key=lambda x: abs(x.Strike - chain.Underlying.Value))
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for strike, group in itertools.groupby(putContracts, lambda x: x.Strike):
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contracts = sorted(group, key=lambda x: x.Expiry)
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if len(contracts) < 2: continue
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self._near_expiration = contracts[0].Expiry
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self._far_expiration = contracts[1].Expiry
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self._put_calendar_spread = OptionStrategies.PutCalendarSpread(option_symbol, strike, self._near_expiration, self._far_expiration)
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self._short_put_calendar_spread = OptionStrategies.ShortPutCalendarSpread(option_symbol, strike, self._near_expiration, self._far_expiration)
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self.Buy(self._put_calendar_spread, 2)
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return
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def AssertStrategyPositionGroup(self, positionGroup: IPositionGroup, option_symbol: Symbol):
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positions = list(positionGroup.Positions)
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if len(positions) != 2:
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raise Exception(f"Expected position group to have 2 positions. Actual: {len(positions)}")
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nearExpirationPosition = next((position for position in positions
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if position.Symbol.ID.OptionRight == OptionRight.Put and position.Symbol.ID.Date == self._near_expiration),
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None)
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if nearExpirationPosition is None or nearExpirationPosition.Quantity != -2:
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raise Exception(f"Expected near expiration position to be -2. Actual: {nearExpirationPosition.Quantity}")
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farExpirationPosition = next((position for position in positions
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if position.Symbol.ID.OptionRight == OptionRight.Put and position.Symbol.ID.Date == self._far_expiration),
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None)
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if farExpirationPosition is None or farExpirationPosition.Quantity != 2:
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raise Exception(f"Expected far expiration position to be 2. Actual: {farExpirationPosition.Quantity}")
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def LiquidateStrategy(self):
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# We should be able to close the position using the inverse strategy (a short put calendar spread)
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self.Buy(self._short_put_calendar_spread, 2)
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